Asymmetric information about volatility: how does it affect implied volatility, option prices and market liquidity?

DOI10.1023/A:1009674204212zbMATH Open1274.91432OpenAlexW1511846049MaRDI QIDQ375487FDOQ375487

Authors: Saikat Nandi 

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009674204212

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zbMATH Keywords

asymmetric informationBlack-Scholes modelimplied volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44)

Cited In (4)

• Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis
• Asymmetric volatility risk: evidence from option markets
• The information flow of option markets during global financial crisis: where do informed traders trade?
• Options markets, self-fulfilling prophecies, and implied volatilities

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